How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk?
研究发现投资级债券的收益率利差中只有小部分来自信用风险，且期限越短占比越低；高收益债券中信用风险占比则高得多。该结论在多种结构模型中均稳健。
We show that credit risk accounts for only a small fraction of yield spreads for investment-grade bonds of all maturities, with the fraction lower for bonds of shorter maturities, and that it accounts for a much higher fraction of yield spreads for high-yield bonds. This conclusion is shown to be robust across a wide class of structural models. We obtain such results by calibrating each of the models to be consistent with data on the historical default loss experience and equity risk premia, and demonstrating that different models predict similar credit risk premia under empirically reasonable parameter choices.